So, if we have three fields and the second one (containing the 'last' key) invalidates, does Cake attempt to validate the third or is the validation for that field automatically true or simply not checked at all?

I think my explanation is ambiguous. What about the following:

If 'last' => true, the field in which it is set will be the last to be validated. If validation passes, any validation rules after the current one will not be checked. If validation fails, an error is returned as usual.